A Time Series Bootstrap Procedure for Interpolation Intervals Articles uri icon

publication date

  • January 2008

start page

  • 1792

end page

  • 1805

issue

  • 4

volume

  • 52

international standard serial number (ISSN)

  • 0167-9473

electronic international standard serial number (EISSN)

  • 1872-7352

abstract

  • A sieve bootstrap procedure for constructing interpolation intervals for a general class of linear processes is proposed. This sieve bootstrap provides consistent estimators of the conditional distribution of the missing values, given the observed data. A Monte Carlo experiment is used to show the finite sample properties of the sieve bootstrap and finally, the performance of the proposed method is illustrated with a real data example.